ReSolve Return Stacked 60-40

Portfolio Specification

Assets

Rtn Stacked Risk Managed US St & Bd Fd USD Class I (NFDIX) 15.00%
RATIONAL/RESOLVE ADAPTIVE ASSET ALLOCATION FUND INSTITUTIONAL SHARES (RDMIX) 15.00%
CATALYST/MILLBURN HEDGE STRATEGY FUND CLASS I (MBXIX) 15.00%
STANDPOINT MULTI-ASSET FUND INSTITUTIONAL CLASS (BLNDX) 12.50%
ABBEY CAPITAL MULTI ASSET FUND CLASS I SHARES (MAFIX) 12.50%
PIMCO STOCKSPLUS LONG DURATION FUND INSTITUTIONAL (PSLDX) 10.00%
SIMPLIFY US EQUITY PLUS CONVEXITY ETF (SPYC) 10.00%
iShares Core U.S. Aggregate Bond ETF (AGG) 10.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

US 60/40

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (3y 10m 15d)

Returns (annualized)

Portfolio 8.19%
Benchmark 7.95%

Risk (annualized)

Portfolio 9.65%
Benchmark 11.25%

Sharpe (annualized)

Portfolio 0.60
Benchmark 0.51

Excess Return (annualized)

0.24%

Tracking Error (annualized)

5.28%

Information Ratio

0.05
Statistic Portfolio Benchmark
Downside Volatility 10.06% 11.49%
Sortino Ratio 0.58 0.50
Calmar Ratio 0.41 0.27
Ulcer Index 15.10 14.89
Max Drawdown 14.20% 21.27%
VaR (99% Confidence) $-2,242 $-2,616
VaR (99.9% Confidence) $-2,978 $-3,475
Beta to Benchmark 0.76 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.84

Skew

-0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0002 0.1053 -0.1051
Duration Factor 0.0657 0.2999 -0.2342
Market Factor 0.5231 0.6106 -0.0874
U.S. Tilt (Non U.S.) 0.1586 0.2281 -0.0695
Yield Curve Factor 0.0519 -0.0023 0.0542

Adjusted R2

Portfolio 0.82
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution